All analyses were last performed on R version 4.5.1 (2025-06-13) -- "Great Square Root"

Be sure to set your working directory with setwd() to whichever folder has all of the scripts and datasets.

There is one .R script for data generation:

WVKJ-PSRM-2025-gen-MCs.R produces WVKJ-MC-simulations.csv, the main monte carlo data. They are time-intensive to create.

There are five data files:

WVKJ-MC-simulations.csv - The main monte carlo data to assess the general model.
main-cavari-psq.dta - The Cavari replication data.
sm-bk-isq.dta - The Blaydes and Kayser replication data.
sm-jj-ajps.dta - The Jennings and John replication data.
sm-mk-jop.dta - The Morgan and Kelly replication data.

The data files should be placed in the root-folder to execute the replication code.

There are six .R scripts for data analysis:

WVKJ-PSRM-2025-main.R - This produces all analysis in the main text. This includes the monte carlo analysis to assess the general model in the main text. It also includes the analysis of the Cavari replication.
WVKJ-PSRM-2025-sm.R - This includes the monte carlo analysis to assess the general model in the Supplemental Materials (Section 5).
WVKJ-PSRM-2025-sm-mk.R - This includes the Morgan and Kelly replication in the Supplemental Materials (Section 7.2). 
WVKJ-PSRM-2025-sm-bk.R - This includes the Blaydes and Kayser replication in the Supplemental Materials (SM Section 7.1; Section 8.2).
WVKJ-PSRM-2025-sm-c.R - This includes the additional analysis for the Cavari replication in the Supplemental Materials (SM Section 6; Section 8.1).
WVKJ-PSRM-2025-sm-jj.R - This includes the Jennings and John replication in the Supplemental Materials (Section 7.3).

There is one .R script which contains a function for assisting the interpretation of unit root tests that we find helpful:

interp_urdf.R - Author: Hank Roark. https://gist.github.com/hankroark/968fc28b767f1e43b5a33b151b771bf9

These analyses can be run in any order, but we suggest the order above.
